P2.T5. Market Risk (25%)

Nicole Seaman
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Course 2025 - Errors in BT Materials - Topic 5 Market Risk
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552
Nicole Seaman
Nicole Seaman
M
Update of P2.T5.
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1
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246
Nicole Seaman
Nicole Seaman
sleepybird
Just a technical clarification on T5.c/Mapping a two-bond portfolio (Jorion 11-2)
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4
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1K
Clay Carter
Clay Carter
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[Chp7] misalignment of the video contents and the GARP text book regarding the correlation crisis
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0
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179
kc
K
Shau_2207
Clean and Hypo PnL for Backtesting
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0
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448
Shau_2207
Shau_2207
Nicole Seaman
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Course Errors Found in 2024 Study Materials P2.T5. MarketRisk
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2
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1K
Clay Carter
Clay Carter
N
Backtesting Var models
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2
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575
NAndr5521
N
R
Short Equity T + long Mezzannine T (correlation impact?)
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17
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10K
Clay Carter
Clay Carter
A
Practice question 3 - Backtesting VaR
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18
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10K
David Harper CFA FRM
David Harper CFA FRM
Shau_2207
Science of Term Structure- Arbitrage pricing multiple periods
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17
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2K
FGarc9983
F
C
Instructional Videos Access
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8
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3K
Nicole Seaman
Nicole Seaman
A
Chapter 7 Correlation Basics EOC question answers missing
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0
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461
AUola2165
A
J
VaR of a Portfolio of Bond Futures (spread trade)
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3
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921
gsarm1987
gsarm1987
Nicole Seaman
  • Locked
Errors Found in 2023 Study Materials P2.T5 Market Risk
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9
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3K
PProd3209
P
X
GARP.FRM.PQ.P2 2016 Practice exam q 64 volatility smile (garp16-p2-64)
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19
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10K
gsarm1987
gsarm1987
P
jorion chapter 11 mapping var
2
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38
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11K
jchun8523
J
P
GARP 2017 Practice Exam Q17 (Part 2)
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1
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727
yLam4028
Y
A
Query - Accrued Interest & Invoice Price
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4
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2K
Nicole Seaman
Nicole Seaman
P
Study Notes and Vital Source
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1
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700
prianthar
P
I
Fixed income mapping
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16
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9K
Vedshah3949
V
D
Lognormal VaR < normal VaR
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1
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1K
David Harper CFA FRM
David Harper CFA FRM
Nicole Seaman
  • Locked
Course Errors Found in 2021/2022 Study Materials P2.T5. Market Risk
2
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22
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5K
Shau_2207
Shau_2207
S
[VaR Mapping] Cash-Flow Mapping
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14
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5K
yLam4028
Y
enjofaes
Science of term structure CMT swap
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1
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634
gsarm1987
gsarm1987
M
Delta of a forward chart
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2
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845
mbbx5va2
M
F
Explain Correlation-weighted HS example
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1
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932
David Harper CFA FRM
David Harper CFA FRM
A
OAS Spread questions
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0
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674
ACosi0578
A
S
Vasicek model recombining tree
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7
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4K
David Harper CFA FRM
David Harper CFA FRM
X
CDS on the Senior tranche of the CDO with tranche correlation
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1
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2K
David Harper CFA FRM
David Harper CFA FRM
M
Vasicek model used to derive the UL
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0
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800
MZHAO0430
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CDO Tranche Spreads with respect to Correlation between Assets in CDO
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2
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2K
HHo0951
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